Economics at your fingertips  

Efficient Estimation of the Parameter Path in Unstable Time Series Models

Ulrich K. Müller and Philippe-Emmanuel. Petalas

Review of Economic Studies, 2010, vol. 77, issue 4, 1508-1539

Abstract: The paper investigates inference in non-linear and non-Gaussian models with moderately time-varying parameters. We show that for many decision problems, the sample information about the parameter path can be summarized by an artificial linear and Gaussian model, at least asymptotically. The approximation allows for computationally convenient path estimators and parameter stability tests. Also, in contrast to standard Bayesian techniques, the artificial model can be robustified so that in misspecified models, decisions about the path of the (pseudo-true) parameter remain as good as in a corresponding correctly specified model. Copyright , Wiley-Blackwell.

Date: 2010
References: Add references at CitEc
Citations View citations in EconPapers (4) Track citations by RSS feed

Downloads: (external link) (application/pdf)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

Review of Economic Studies is currently edited by Andrea Prat, Bruno Biais, Kjetil Storesletten and Enrique Sentana

More articles in Review of Economic Studies from Oxford University Press
Series data maintained by Oxford University Press ().

Page updated 2017-09-29
Handle: RePEc:oup:restud:v:77:y:2010:i:4:p:1508-1539